Prioritizing of volatility models: a computational analysis using data envelopment analysis

Keyphrases

• Data Envelopment Analysis 100%
• Computational Analysis 100%
• Volatility Modelling 100%
• Efficiency Score 60%
• Sum Square Error 40%
• Error Measures 40%
• Bias Term 40%
• In-mean Effects 40%
• Cluster Analysis 20%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 20%
• Regression Model 20%
• Economic Crisis 20%
• Stock Market 20%
• Two-stage Approach 20%
• Model Characteristics 20%
• Error Distribution 20%
• Economic Uncertainty 20%
• Single Errors 20%
• Time Elapsed 20%
• Parameter Groups 20%
• Akaike Information Criterion 20%
• Slacks-based Measure-data Envelopment Analysis 20%
• Second Stage Analysis 20%
• Positive Coefficients 20%
• Parameter Bias 20%
• Global Status 20%
• Dummy Variable 20%
• Skewed Errors 20%

Economics, Econometrics and Finance

• Volatility 100%
• Generalized Autoregressive Conditional Heteroskedasticity 20%
• Economic Recession 20%

Mathematics

• Autoregressive Conditional Heteroskedasticity 50%